Adriano Dal Pastro
47 lines
2.2 KiB
Python
47 lines
2.2 KiB
Python
"""Fast inline lever-scout for Skyhook before the agent wave. One fee (0.10% RT), both assets,
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min-asset FULL & HOLD-OUT Sharpe. Maps which knobs move the honest hold-out."""
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import sys
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from dataclasses import replace
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sys.path.insert(0, "/opt/docker/PythagorasGoal/scripts/research/skyhook")
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import skyhooklib as sk
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from src.strategies.skyhook import SkyhookParams
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def quick(p: SkyhookParams) -> dict:
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rs = {a: sk.run_asset(a, p, sk.FEE_RT) for a in sk.CERTIFIED}
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mf = min(rs[a]["full"]["sharpe"] for a in rs)
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mh = min(rs[a]["holdout"]["sharpe"] for a in rs)
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mt = min(rs[a]["full"]["n_trades"] for a in rs)
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avg_dd = sum(rs[a]["full"]["maxdd"] for a in rs) / 2
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return dict(minFull=mf, minHold=mh, minTr=mt, dd=round(avg_dd, 3),
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btc=rs["BTC"]["full"]["sharpe"], eth=rs["ETH"]["full"]["sharpe"],
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btcH=rs["BTC"]["holdout"]["sharpe"], ethH=rs["ETH"]["holdout"]["sharpe"])
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base = SkyhookParams()
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GRID = {
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"long_only": [dict(long_only=True), dict(long_only=False)],
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"ptn_n": [dict(ptn_n=n) for n in (8, 13, 20, 34, 55)],
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"RR(sl,tp)": [dict(sl_atr=s, tp_atr=t) for s, t in
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((1.5, 4.0), (2.0, 5.0), (2.5, 6.0), (3.0, 4.0), (2.0, 8.0), (3.0, 9.0))],
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"exitbars": [dict(uscitalong=l, uscitashort=s) for l, s in
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((12, 9), (24, 18), (36, 24), (48, 36))],
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"vola_band": [dict(vola_lo=lo, vola_hi=hi) for lo, hi in
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((0, 100), (35, 95), (50, 100), (50, 90), (20, 80))],
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"vol_band": [dict(vol_lo=lo, vol_hi=hi) for lo, hi in
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((0, 100), (50, 100), (60, 100), (40, 100), (50, 80))],
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}
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print(f"{'param':<14s} {'value':<28s} {'minF':>6s} {'minH':>6s} {'btc/eth F':>12s} {'btc/eth H':>12s} {'tr':>5s} {'dd':>5s}")
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print(f" BASELINE: {quick(base)}")
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print("-" * 100)
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for fam, variants in GRID.items():
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for v in variants:
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p = replace(base, **v)
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q = quick(p)
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tag = "PASS" if (q["minFull"] >= 0.5 and q["minHold"] >= 0.2) else ""
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print(f"{fam:<14s} {str(v):<28s} {q['minFull']:>+6.2f} {q['minHold']:>+6.2f} "
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f"{q['btc']:>+5.2f}/{q['eth']:>+5.2f} {q['btcH']:>+5.2f}/{q['ethH']:>+5.2f} "
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f"{q['minTr']:>5d} {q['dd']*100:>4.0f}% {tag}")
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